Definitions used for Primary Dealer Net Positioning Data

Below are some definitions behind my primary dealer net positioning dataset

DurationWtd_NPOS <- .5*PD_Tbill_NPOS+1.5*PD_L2_NPOS+2.5*PD_G2L3_NPOS+4.5*PD_G3L6_NPOS+ 6.5*PD_G6L7_NPOS+9*PD_G7L11_NPOS+14*PD_G11_NPOS
 
Total_NPOS <- PD_Tbill_NPOS+PD_L2_NPOS+PD_G2L3_NPOS+PD_G3L6_NPOS+ PD_G6L7_NPOS+PD_G7L11_NPOS+PD_G11_NPOS
 
AbsDurRisk_NPOS <- abs(.5*PD_Tbill_NPOS)+abs(1.5*PD_L2_NPOS)+ abs(2.5*PD_G2L3_NPOS)+abs(4.5*PD_G3L6_NPOS)+abs(6.5*PD_G6L7_NPOS)+abs(9*PD_G7L11_NPOS)+abs(14*PD_G11_NPOS)

Abs_NPOS <- abs(PD_Tbill_NPOS)+abs(PD_L2_NPOS)+abs(PD_G2L3_NPOS)+abs(PD_G3L6_NPOS)+abs(PD_G6L7_NPOS)+abs(PD_G7L11_NPOS)+abs(PD_G11_NPOS)
 
NetDur_NPOS <- DurationWtd_NPOS/Abs_NPOS

PD_AGNC_MBS_NPOS <- PD_Pass_NPOS+ PD_Other_GSEMBS+PD_CMBS_NPOS



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